EWZ Analysis

iShares MSCI Brazil Capped (EWZ)

Update 4/19/2017: EWZ continued a sideways correction that began in early March as time decay worked to bring the position to profitability. I exited at 18.2% of maximum profit.

Shares showed a net decline of 3.1% over 21 days, or a -54% annual rate. The options position produced a 22.3% yield on debit for a +387% annual rate.


 

EWZ, an exchange-traded fund, has sufficiently high implied volatility to support a trade for the nearer term, although it is quite low compared to the annual range.

I shall use the MAY series of options, which trades for the last time 51 days hence, on May 19.

Implied volatility stands at 32%, which is double the VIX, a measure of the volatility of the S&P 500 index.

EWZ’s IV stands in the 25th percentile of its annual range and the 75th percentile of its most recent broad movement.

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LB Analysis

L Brands Inc. (LB)

LB has sufficiently high implied volatility by several measures to support a trade.

I shall use the MAY series of options, which trades for the last time 52 days hence, on May 19.

Implied volatility stands at 31%, which is 2.7 times the VIX, a measure of the volatility of the S&P 500 index.

LB’s IV stands in the 52nd percentile of its annual range and the 39th percentile of its most recent broad movement.

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XRT Analysis

SPDR S&P Retail ETF (XRT)

XRT has sufficiently high volatility to qualify for trading.

I shall use the MAY series of options, which trades for the last time 53 days hence, on May 19.

Implied volatility stands at 20%, which is 1.5 times the VIX, a measure of the volatility of the S&P 500 index.

XRT’s IV stands in the 43rd percentile of its annual range and the 47th percentile of its most recent broad movement.

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KRE Analysis

SPDR S&P Regional Banking ETF (KRE)

KRE’s implied volatility stands sufficiently high for me to meet my standards for trading.

I shall use the MAY series of options, which trades for the last time 53 days hence, on May 19.

Implied volatility stands at 26%, which is double the VIX, a measure of the volatility of the S&P 500 index.

KRE’s IV stands in the 43rd percentile of its annual range and the 52nd percentile of its most recent broad movement.

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The Week Ahead: GDP, income and outlays, trade

 

A third and final estimate of 4th quarter gross domestic product will be published on Thursday. Other major reports: International trade in goods on Tuesday and personal income and outlays on Friday.

All three reports will be released at 8:30 a.m. New York time.

Federal Reserve Chair Janet Yellen addresses the National Community Reinvestment Coalition’s annual conference in Washington, D.C. on Tuesday at 12:50 p.m. Her topic: Addressing Workforce Development Challenges in Low-Income Communities.

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